由於SGX與TAIFEX兩交易所在市場微結構的差異，Roope and zurbruegg (2002)研究顯示TW在價格發現上領先TX。TAIFEX為了活絡期貨市場，於2000年5月1日調降期貨交易稅後，隨著交易量增加，TX在報價價差、資訊反映的速度都有顯著的改善。 本研究估計Hasbrouck的IS模式與Gonzalo and Granger的PT模式顯示，TW與TX兩者期貨價格的平均IS分別為66.40％與77.88％，相較於所對應的現貨價格，在價格發現上期貨價格扮演較重要的角色。TAIEX現貨平均IS為51.54％，PT為61.73％，驗證了TAIEX現貨在價格發現上比TiMSCI現貨扮演更重要角色；分析TX期貨與TW期貨，TW期貨平均IS為61.70％，PT為58.93％，顯示即使TAIFEX透過調降交易稅以提高期貨市場效率性，然TW期貨仍扮演較重要的價格發現角色。

Since the Taiwan Future Exchange launched the TAIEX futures contracts on July 21, 1998, the TAIEX index is listed simultaneously on the SGX and TAIEX. The literature revealed that a more cost-effective market may contribute more to the price discovery process, and the empirical results supported it. The SGX index futures dominate the price discovery process. To improve the liquidity of the TAIEX futures contracts, the TAIFEX reduced the transaction tax on May 1,2000, and the trading volumes on the TAIFEX were higher than the SGX. According to the estimations of Hasbrouck’s IS ratio, the average IS ratios of the TW and TX futures are 66.40% and 77.88%, indicate that the index futures play a role in price discovery significantly greater than he spot indices. Comparing the TAIEX and TiMSCI spot index, the latter is the subset of the former, the results consistent with the TAIEX spot index dominates the price discovery process. Finally, the study also provide strong evidence to suggest that the dominate role between the cross-listed securities, the TX futures and the TW futures, is the latter, even though the TX futures owns the advantage of the home market and the TAIFEX launches some innovations to encourage the investors. The results indicate some implications to the TAIFEX exchange, the transaction tax is just only part of the microstructure, the efficiency of market may be affected by other factors, ex. Position limits, trading mechanism etc.